Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0277
Annualized Std Dev 0.1146
Annualized Sharpe (Rf=0%) -0.2418

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0669
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0032
Maximum 0.0868
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0001
Variance 0.0001
Stdev 0.0072
Skewness -0.2504
Kurtosis 10.5761

Downside Risk

Close
Semi Deviation 0.0052
Gain Deviation 0.0050
Loss Deviation 0.0056
Downside Deviation (MAR=210%) 0.0109
Downside Deviation (Rf=0%) 0.0053
Downside Deviation (0%) 0.0053
Maximum Drawdown 0.5527
Historical VaR (95%) -0.0106
Historical ES (95%) -0.0169
Modified VaR (95%) -0.0109
Modified ES (95%) -0.0177
From Trough To Depth Length To Trough Recovery
2003-06-17 2020-03-18 NA -0.5527 4472 4218 NA
1999-02-24 1999-12-30 2001-02-12 -0.1364 498 216 282
2002-09-11 2002-10-21 2003-03-03 -0.0947 119 29 90
2001-10-03 2001-12-17 2002-05-28 -0.0686 163 53 110
2001-09-18 2001-09-20 2001-10-02 -0.0544 11 3 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 0 0 0 0 0 0 1 2.1 2.1 5.3
2000 1 0 0 0 1 0 -1 0 0 0 2 0 3
2001 1.2 1.3 -0.1 -0.1 0 1.5 1 0.1 1 0.1 0.7 0.8 7.8
2002 0 0.3 0 0.9 0 0.8 0.3 -0.8 0.3 0.7 -0.1 1.9 4.2
2003 -0.3 0.7 -1.2 0.6 0.7 -0.5 -0.1 -0.4 0.6 0.1 0 0 0
2004 0.1 0.1 -0.4 0.2 -0.5 0.2 0.2 -0.2 -0.6 -0.2 -0.5 0.3 -1.2
2005 -0.2 0 -0.2 0 0.2 0.2 -0.3 -0.3 0.8 -0.3 -0.5 -0.3 -1
2006 -0.3 0.2 -0.2 0.5 -0.2 0.8 0.7 0.2 -0.2 0.2 0.3 -0.3 1.7
2007 -0.3 0.3 0.5 0.5 -0.7 0.5 0 0.2 -0.2 -0.8 0.2 -0.2 0
2008 -0.2 -0.2 0.5 0.2 1.1 -0.2 0.5 0.2 2.4 1.7 0.3 -0.2 6.3
2009 0 1.3 -0.5 0.5 0.3 0 0.2 0.6 -0.9 -2.2 0.7 0.1 0.1
2010 0 0.1 -0.1 0.6 0 -0.4 -0.1 0.1 1 0 0.3 0 1.5
2011 -0.2 0.3 -1 0.5 0.6 2.5 2.9 -0.5 -1.8 1.1 -0.2 0 4.4
2012 -0.6 0.9 -1.8 1.1 -1.4 0.9 -0.5 -0.2 0.2 1.7 0.9 0.8 2
2013 0 -0.8 0.5 0 0.4 -2.1 -0.2 0.4 0 -0.9 0.2 -0.2 -2.8
2014 1.1 -0.4 0.4 -0.2 0 0.6 0.4 0.2 0.8 0.6 0 -0.8 2.7
2015 0.6 -0.4 0 0.2 -0.2 0.9 0.9 0.9 -0.2 0.4 0.4 0.2 3.8
2016 0.2 0.7 0.7 0 -0.2 0 0 -0.4 0.2 -0.2 0.3 0.9 2.1
2017 0 0 0.7 0.1 0.9 0.9 0.9 0.5 0.5 -0.5 0.7 0.2 5.1
2018 1 0.3 0.3 0.1 0.5 0.3 -1 0.3 0.8 -0.5 0 -0.3 1.6
2019 -1.3 0 -0.3 0.8 0 0.3 -0.5 0.3 -0.3 -0.3 -0.5 0 -1.8
2020 0 -2.4 0.3 1.6 0.8 1.4 0 0.8 0 0 1.1 0.5 4
2021 -0.5 0 -0.5 NA NA NA NA NA NA NA NA NA -1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  6.75 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  6.88 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  6.88 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  6.75 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  6.81 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  6.88 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart